Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1216
Annualized Std Dev 0.2853
Annualized Sharpe (Rf=0%) -0.4264

Row

Daily Return Statistics

Close
Observations 3623.0000
NAs 1.0000
Minimum -0.2447
Quartile 1 -0.0081
Median 0.0000
Arithmetic Mean -0.0004
Geometric Mean -0.0005
Quartile 3 0.0079
Maximum 0.1865
SE Mean 0.0003
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0002
Variance 0.0003
Stdev 0.0180
Skewness -0.4514
Kurtosis 25.5719

Downside Risk

Close
Semi Deviation 0.0130
Gain Deviation 0.0133
Loss Deviation 0.0144
Downside Deviation (MAR=210%) 0.0177
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.9295
Historical VaR (95%) -0.0262
Historical ES (95%) -0.0419
Modified VaR (95%) -0.0229
Modified ES (95%) -0.0229
From Trough To Depth Length To Trough Recovery
2006-10-27 2020-03-18 NA -0.9295 3623 3369 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA 0 0 -0.1 -0.2
2007 0.5 -1 0.7 0.9 0.4 0.4 -1.1 0.6 -2.1 -1.5 0.8 1 -0.5
2008 0.9 -0.6 -1.6 -0.6 0.8 -2.6 0 0.3 -3 -0.8 -6.8 1.1 -12.5
2009 -1.9 -2.1 -3.4 1.5 2 1.4 2.1 -1.4 -4.8 -1.5 1.2 -0.2 -7.1
2010 2.5 0.8 -1.6 -0.6 -3.3 -4.1 -0.3 2.3 -1.3 0.9 0.1 0.1 -4.4
2011 0.4 -0.6 -2.4 2.5 -1.1 -2.4 0.6 -0.4 -0.9 -1 -0.5 0.9 -4.8
2012 0.1 1 -0.1 0.5 -2.4 1.6 -0.2 0.5 -1.7 0.7 0.1 1.2 1.1
2013 0.5 -0.2 -2.8 -0.2 -1 -1 1.2 -0.8 -0.2 -1.1 -0.1 0.3 -5.3
2014 -0.5 0.5 -2.7 0 0.6 -2.7 -0.7 -0.1 -3.7 0.3 1.5 -3.2 -10.2
2015 0.4 -0.3 -0.7 -0.3 -0.5 -4.5 -1.9 -3 -4.5 2.5 1.6 0.7 -10.3
2016 -1.2 0.4 -4.2 -0.3 0.8 -3.5 -2.9 -0.8 1.3 0 0.4 -0.8 -10.3
2017 0.2 1.4 1.2 0.3 -2.1 -0.8 -0.5 0.5 0 1 1.3 -3.8 -1.5
2018 -1.2 -1 1.5 1.3 -1 1.3 -0.6 -0.8 -2.3 -0.8 1 1.2 -1.5
2019 1.7 -2.4 -0.7 -1.4 -1.7 -4.6 -1.1 -1.2 -3.6 2.2 -0.5 1.5 -11.3
2020 -1.8 -2.4 -7.4 -5.7 3.1 -4.7 0.4 0.4 -4.1 -1.3 1.6 -1.5 -21.6
2021 3.8 1.7 1.3 NA NA NA NA NA NA NA NA NA 6.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart